Related papers: Field-Level Inference with Microcanonical Langevin…

In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters as the number of levels, which enables us to compute the…

Metamodels, or the regression analysis of Monte Carlo simulation results, provide a powerful tool to summarize simulation findings. However, an underutilized approach is the multilevel metamodel (MLMM) that accounts for the dependent data…

Methods that bypass analytical evaluations of the likelihood function have become an indispensable tool for statistical inference in many fields of science. These so-called likelihood-free methods rely on accepting and rejecting simulations…

Identifying important features linked to a response variable is a fundamental task in various scientific domains. This article explores statistical inference for simulated Markov random fields in high-dimensional settings. We introduce a…

Markov Chain Monte Carlo (MCMC) sampling methods are widely used but often encounter either slow convergence or biased sampling when applied to multimodal high dimensional distributions. In this paper, we present a general framework of…

In many real-world engineering systems, the performance or reliability of the system is characterised by a scalar parameter. The distribution of this performance parameter is important in many uncertainty quantification problems, ranging…

We consider posterior sampling in the very common Bayesian hierarchical model in which observed data depends on high-dimensional latent variables that, in turn, depend on relatively few hyperparameters. When the full conditional over the…

We introduce shielded Langevin Monte Carlo (LMC), a constrained sampler inspired by navigation functions, capable of sampling from unnormalized target distributions defined over punctured supports. In other words, this approach samples from…

This paper considers the problem of optimizing the average tracking error for an elliptic partial differential equation with an uncertain lognormal diffusion coefficient. In particular, the application of the multilevel quasi-Monte Carlo…

As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…

Cosmological probes pose an inverse problem where the measurement result is obtained through observations, and the objective is to infer values of model parameters which characterize the underlying physical system -- our Universe. Modern…

This work introduces structure preserving hierarchical decompositions for sampling Gaussian random fields (GRF) within the context of multilevel Bayesian inference in high-dimensional space. Existing scalable hierarchical sampling methods,…

Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is…

Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…

We present a new galaxy survey simulation package, which combines the power of Markov Chain Monte Carlo (MCMC) sampling with a robust and adaptable model of galaxy evolution. The aim of this code is to aid in the characterization and study…

The classical Langevin Monte Carlo method looks for samples from a target distribution by descending the samples along the gradient of the target distribution. The method enjoys a fast convergence rate. However, the numerical cost is…

This position paper summarizes a recently developed research program focused on inference in the context of data centric science and engineering applications, and forecasts its trajectory forward over the next decade. Often one endeavours…

Sequential Monte Carlo (SMC), or particle filtering, is widely used in nonlinear state-space systems, but its performance often suffers from poorly approximated proposal and state-transition distributions. This work introduces a…

We applied a mean-field approach associated to Monte Carlo simulations in order to study the spin-1 ferromagnetic Blume-Capel model in the square and the linear lattice. This new technique, which we call MFT-MC, determines the molecular…

Models of stochastic processes are widely used in almost all fields of science. Theory validation, parameter estimation, and prediction all require model calibration and statistical inference using data. However, data are almost always…